Convergence in multiscale financial models with non-Gaussian stochastic volatility (Q2808055)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence in multiscale financial models with non-Gaussian stochastic volatility |
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Convergence in multiscale financial models with non-Gaussian stochastic volatility (English)
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26 May 2016
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portfolio optimization
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stochastic control system
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singular perturbation
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mean reverting volatility
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jump process
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multiple scale
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Hamilton-Jacobi-Bellman equation
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viscosity solution
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